package max import ( "context" "fmt" "math" "os" "sort" "strconv" "time" "github.com/pkg/errors" "github.com/sirupsen/logrus" "golang.org/x/time/rate" maxapi "github.com/c9s/bbgo/pkg/exchange/max/maxapi" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/util" ) var closedOrderQueryLimiter = rate.NewLimiter(rate.Every(5*time.Second), 1) var tradeQueryLimiter = rate.NewLimiter(rate.Every(3*time.Second), 1) var accountQueryLimiter = rate.NewLimiter(rate.Every(3*time.Second), 1) var marketDataLimiter = rate.NewLimiter(rate.Every(2*time.Second), 10) var log = logrus.WithField("exchange", "max") type Exchange struct { client *maxapi.RestClient key, secret string } func New(key, secret string) *Exchange { baseURL := maxapi.ProductionAPIURL if override := os.Getenv("MAX_API_BASE_URL"); len(override) > 0 { baseURL = override } client := maxapi.NewRestClient(baseURL) client.Auth(key, secret) return &Exchange{ client: client, key: key, secret: secret, } } func (e *Exchange) Name() types.ExchangeName { return types.ExchangeMax } func (e *Exchange) QueryTicker(ctx context.Context, symbol string) (*types.Ticker, error) { ticker, err := e.client.PublicService.Ticker(toLocalSymbol(symbol)) if err != nil { return nil, err } return &types.Ticker{ Time: ticker.Time, Volume: util.MustParseFloat(ticker.Volume), Last: util.MustParseFloat(ticker.Last), Open: util.MustParseFloat(ticker.Open), High: util.MustParseFloat(ticker.High), Low: util.MustParseFloat(ticker.Low), Buy: util.MustParseFloat(ticker.Buy), Sell: util.MustParseFloat(ticker.Sell), }, nil } func (e *Exchange) QueryTickers(ctx context.Context, symbol ...string) (map[string]types.Ticker, error) { if err := marketDataLimiter.Wait(ctx); err != nil { return nil, err } var tickers = make(map[string]types.Ticker) if len(symbol) == 1 { ticker, err := e.QueryTicker(ctx, symbol[0]) if err != nil { return nil, err } tickers[toGlobalSymbol(symbol[0])] = *ticker } else { maxTickers, err := e.client.PublicService.Tickers() if err != nil { return nil, err } m := make(map[string]struct{}) exists := struct{}{} for _, s := range symbol { m[toGlobalSymbol(s)] = exists } for k, v := range maxTickers { if _, ok := m[toGlobalSymbol(k)]; len(symbol) != 0 && !ok { continue } tickers[toGlobalSymbol(k)] = types.Ticker{ Time: v.Time, Volume: util.MustParseFloat(v.Volume), Last: util.MustParseFloat(v.Last), Open: util.MustParseFloat(v.Open), High: util.MustParseFloat(v.High), Low: util.MustParseFloat(v.Low), Buy: util.MustParseFloat(v.Buy), Sell: util.MustParseFloat(v.Sell), } } } return tickers, nil } func (e *Exchange) QueryMarkets(ctx context.Context) (types.MarketMap, error) { log.Info("querying market info...") remoteMarkets, err := e.client.PublicService.Markets() if err != nil { return nil, err } markets := types.MarketMap{} for _, m := range remoteMarkets { symbol := toGlobalSymbol(m.ID) market := types.Market{ Symbol: symbol, LocalSymbol: m.ID, PricePrecision: m.QuoteUnitPrecision, VolumePrecision: m.BaseUnitPrecision, QuoteCurrency: toGlobalCurrency(m.QuoteUnit), BaseCurrency: toGlobalCurrency(m.BaseUnit), MinNotional: m.MinQuoteAmount, MinAmount: m.MinQuoteAmount, MinQuantity: m.MinBaseAmount, MaxQuantity: 10000.0, StepSize: 1.0 / math.Pow10(m.BaseUnitPrecision), // make it like 0.0001 MinPrice: 1.0 / math.Pow10(m.QuoteUnitPrecision), // used in the price formatter MaxPrice: 10000.0, TickSize: 1.0 / math.Pow10(m.QuoteUnitPrecision), } markets[symbol] = market } return markets, nil } func (e *Exchange) NewStream() types.Stream { return NewStream(e.key, e.secret) } func (e *Exchange) QueryOpenOrders(ctx context.Context, symbol string) (orders []types.Order, err error) { maxOrders, err := e.client.OrderService.Open(toLocalSymbol(symbol), maxapi.QueryOrderOptions{}) if err != nil { return orders, err } for _, maxOrder := range maxOrders { order, err := toGlobalOrder(maxOrder) if err != nil { return orders, err } orders = append(orders, *order) } return orders, err } // lastOrderID is not supported on MAX func (e *Exchange) QueryClosedOrders(ctx context.Context, symbol string, since, until time.Time, lastOrderID uint64) (orders []types.Order, err error) { if err := closedOrderQueryLimiter.Wait(ctx); err != nil { return nil, err } numBatches := 3 limit := 1000 // max limit = 1000 offset := limit * numBatches orderIDs := make(map[uint64]struct{}, limit*2) for ; offset > 0; offset -= limit { log.Infof("querying %s closed orders offset %d ~ ", symbol, offset) maxOrders, err := e.client.OrderService.Closed(toLocalSymbol(symbol), maxapi.QueryOrderOptions{ Offset: offset, Limit: limit, }) if err != nil { return orders, err } if len(maxOrders) == 0 { break } for _, maxOrder := range maxOrders { if maxOrder.CreatedAt.Before(since) { continue } if maxOrder.CreatedAt.After(until) { return orders, err } order, err := toGlobalOrder(maxOrder) if err != nil { return orders, err } if _, ok := orderIDs[order.OrderID]; ok { log.Infof("skipping duplicated order: %d", order.OrderID) } orderIDs[order.OrderID] = struct{}{} orders = append(orders, *order) } } return orders, err } func (e *Exchange) CancelAllOrders(ctx context.Context) ([]types.Order, error) { var req = e.client.OrderService.NewOrderCancelAllRequest() var maxOrders, err = req.Do(ctx) if err != nil { return nil, err } return toGlobalOrders(maxOrders) } func (e *Exchange) CancelOrdersBySymbol(ctx context.Context, symbol string) ([]types.Order, error) { var req = e.client.OrderService.NewOrderCancelAllRequest() req.Market(toLocalSymbol(symbol)) var maxOrders, err = req.Do(ctx) if err != nil { return nil, err } return toGlobalOrders(maxOrders) } func (e *Exchange) CancelOrdersByGroupID(ctx context.Context, groupID uint32) ([]types.Order, error) { var req = e.client.OrderService.NewOrderCancelAllRequest() req.GroupID(groupID) var maxOrders, err = req.Do(ctx) if err != nil { return nil, err } return toGlobalOrders(maxOrders) } func (e *Exchange) CancelOrders(ctx context.Context, orders ...types.Order) (err2 error) { var groupIDs = make(map[uint32]struct{}) var orphanOrders []types.Order for _, o := range orders { if o.GroupID > 0 { groupIDs[o.GroupID] = struct{}{} } else { orphanOrders = append(orphanOrders, o) } } if len(groupIDs) > 0 { for groupID := range groupIDs { var req = e.client.OrderService.NewOrderCancelAllRequest() req.GroupID(groupID) if _, err := req.Do(ctx); err != nil { log.WithError(err).Errorf("group id order cancel error") err2 = err } } } for _, o := range orphanOrders { var req = e.client.OrderService.NewOrderCancelRequest() if o.OrderID > 0 { req.ID(o.OrderID) } else if len(o.ClientOrderID) > 0 && o.ClientOrderID != types.NoClientOrderID { req.ClientOrderID(o.ClientOrderID) } else { return fmt.Errorf("order id or client order id is not defined, order=%+v", o) } if err := req.Do(ctx); err != nil { log.WithError(err).Errorf("order cancel error") err2 = err } } return err2 } func toMaxSubmitOrder(o types.SubmitOrder) (*maxapi.Order, error) { symbol := toLocalSymbol(o.Symbol) orderType, err := toLocalOrderType(o.Type) if err != nil { return nil, err } var quantityString string if o.Market.Symbol != "" { quantityString = o.Market.FormatQuantity(o.Quantity) } else { quantityString = strconv.FormatFloat(o.Quantity, 'f', -1, 64) } maxOrder := maxapi.Order{ Market: symbol, Side: toLocalSideType(o.Side), OrderType: orderType, // Price: priceInString, Volume: quantityString, } if o.GroupID > 0 { maxOrder.GroupID = o.GroupID } clientOrderID := NewClientOrderID(o.ClientOrderID) if len(clientOrderID) > 0 { maxOrder.ClientOID = clientOrderID } switch o.Type { case types.OrderTypeStopLimit, types.OrderTypeLimit, types.OrderTypeLimitMaker, types.OrderTypeIOCLimit: var priceInString string if o.Market.Symbol != "" { priceInString = o.Market.FormatPrice(o.Price) } else { priceInString = strconv.FormatFloat(o.Price, 'f', -1, 64) } maxOrder.Price = priceInString } // set stop price field for limit orders switch o.Type { case types.OrderTypeStopLimit, types.OrderTypeStopMarket: var priceInString string if o.Market.Symbol != "" { priceInString = o.Market.FormatPrice(o.StopPrice) } else { priceInString = strconv.FormatFloat(o.StopPrice, 'f', -1, 64) } maxOrder.StopPrice = priceInString } return &maxOrder, nil } func (e *Exchange) Withdrawal(ctx context.Context, asset string, amount fixedpoint.Value, address string, options *types.WithdrawalOptions) error { asset = toLocalCurrency(asset) addresses, err := e.client.WithdrawalService.NewGetWithdrawalAddressesRequest(). Currency(asset). Do(ctx) if err != nil { return err } var whitelistAddress maxapi.WithdrawalAddress for _, a := range addresses { if a.Address == address { whitelistAddress = a break } } if whitelistAddress.Address != address { return fmt.Errorf("address %s is not in the whitelist", address) } if whitelistAddress.UUID == "" { return errors.New("address UUID can not be empty") } response, err := e.client.WithdrawalService.NewWithdrawalRequest(). Currency(asset). Amount(amount.Float64()). AddressUUID(whitelistAddress.UUID). Do(ctx) if err != nil { return err } log.Infof("withdrawal request response: %+v", response) return nil } func (e *Exchange) SubmitOrders(ctx context.Context, orders ...types.SubmitOrder) (createdOrders types.OrderSlice, err error) { if len(orders) > 1 && len(orders) < 15 { var ordersBySymbol = map[string][]maxapi.Order{} for _, o := range orders { maxOrder, err := toMaxSubmitOrder(o) if err != nil { return nil, err } ordersBySymbol[maxOrder.Market] = append(ordersBySymbol[maxOrder.Market], *maxOrder) } for symbol, orders := range ordersBySymbol { req := e.client.OrderService.NewCreateMultiOrderRequest() req.Market(symbol) req.AddOrders(orders...) orderResponses, err := req.Do(ctx) if err != nil { return createdOrders, err } for _, resp := range *orderResponses { if len(resp.Error) > 0 { log.Errorf("multi-order submit error: %s", resp.Error) continue } o, err := toGlobalOrder(resp.Order) if err != nil { return createdOrders, err } createdOrders = append(createdOrders, *o) } } return createdOrders, nil } for _, order := range orders { maxOrder, err := toMaxSubmitOrder(order) if err != nil { return createdOrders, err } req := e.client.OrderService.NewCreateOrderRequest(). Market(maxOrder.Market). Side(maxOrder.Side). Volume(maxOrder.Volume). OrderType(string(maxOrder.OrderType)) if len(maxOrder.ClientOID) > 0 { req.ClientOrderID(maxOrder.ClientOID) } if len(maxOrder.Price) > 0 { req.Price(maxOrder.Price) } if len(maxOrder.StopPrice) > 0 { req.StopPrice(maxOrder.StopPrice) } retOrder, err := req.Do(ctx) if err != nil { return createdOrders, err } if retOrder == nil { return createdOrders, errors.New("returned nil order") } createdOrder, err := toGlobalOrder(*retOrder) if err != nil { return createdOrders, err } createdOrders = append(createdOrders, *createdOrder) } return createdOrders, err } // PlatformFeeCurrency func (e *Exchange) PlatformFeeCurrency() string { return toGlobalCurrency("max") } func (e *Exchange) getLaunchDate() (time.Time, error) { // MAX launch date June 21th, 2018 loc, err := time.LoadLocation("Asia/Taipei") if err != nil { return time.Time{}, err } return time.Date(2018, time.June, 21, 0, 0, 0, 0, loc), nil } func (e *Exchange) QueryAccount(ctx context.Context) (*types.Account, error) { if err := accountQueryLimiter.Wait(ctx); err != nil { return nil, err } userInfo, err := e.client.AccountService.Me() if err != nil { return nil, err } var balances = make(types.BalanceMap) for _, a := range userInfo.Accounts { balances[toGlobalCurrency(a.Currency)] = types.Balance{ Currency: toGlobalCurrency(a.Currency), Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)), Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)), } } vipLevel, err := e.client.AccountService.VipLevel() if err != nil { return nil, err } // MAX returns the fee rate in the following format: // "maker_fee": 0.0005 -> 0.05% // "taker_fee": 0.0015 -> 0.15% a := &types.Account{ MakerFeeRate: fixedpoint.NewFromFloat(vipLevel.Current.MakerFee), // 0.15% = 0.0015 TakerFeeRate: fixedpoint.NewFromFloat(vipLevel.Current.TakerFee), // 0.15% = 0.0015 } a.UpdateBalances(balances) return a, nil } func (e *Exchange) QueryWithdrawHistory(ctx context.Context, asset string, since, until time.Time) (allWithdraws []types.Withdraw, err error) { startTime := since limit := 1000 txIDs := map[string]struct{}{} emptyTime := time.Time{} if startTime == emptyTime { startTime, err = e.getLaunchDate() if err != nil { return nil, err } } for startTime.Before(until) { // startTime ~ endTime must be in 60 days endTime := startTime.AddDate(0, 0, 60) if endTime.After(until) { endTime = until } log.Infof("querying withdraw %s: %s <=> %s", asset, startTime, endTime) req := e.client.AccountService.NewGetWithdrawalHistoryRequest() if len(asset) > 0 { req.Currency(toLocalCurrency(asset)) } withdraws, err := req. From(startTime.Unix()). To(endTime.Unix()). Limit(limit). Do(ctx) if err != nil { return allWithdraws, err } if len(withdraws) == 0 { startTime = endTime continue } for i := len(withdraws) - 1; i >= 0; i-- { d := withdraws[i] if _, ok := txIDs[d.TxID]; ok { continue } // we can convert this later status := d.State switch d.State { case "confirmed": status = "completed" // make it compatible with binance case "submitting", "submitted", "accepted", "rejected", "suspect", "approved", "delisted_processing", "processing", "retryable", "sent", "canceled", "failed", "pending", "kgi_manually_processing", "kgi_manually_confirmed", "kgi_possible_failed", "sygna_verifying": default: status = d.State } txIDs[d.TxID] = struct{}{} withdraw := types.Withdraw{ Exchange: types.ExchangeMax, ApplyTime: types.Time(time.Unix(d.CreatedAt, 0)), Asset: toGlobalCurrency(d.Currency), Amount: util.MustParseFloat(d.Amount), Address: "", AddressTag: "", TransactionID: d.TxID, TransactionFee: util.MustParseFloat(d.Fee), TransactionFeeCurrency: d.FeeCurrency, // WithdrawOrderID: d.WithdrawOrderID, // Network: d.Network, Status: status, } allWithdraws = append(allWithdraws, withdraw) } // go next time frame if len(withdraws) < limit { startTime = endTime } else { // its in descending order, so we get the first record startTime = time.Unix(withdraws[0].CreatedAt, 0) } } return allWithdraws, nil } func (e *Exchange) QueryDepositHistory(ctx context.Context, asset string, since, until time.Time) (allDeposits []types.Deposit, err error) { startTime := since limit := 1000 txIDs := map[string]struct{}{} emptyTime := time.Time{} if startTime == emptyTime { startTime, err = e.getLaunchDate() if err != nil { return nil, err } } for startTime.Before(until) { // startTime ~ endTime must be in 90 days endTime := startTime.AddDate(0, 0, 60) if endTime.After(until) { endTime = until } log.Infof("querying deposit history %s: %s <=> %s", asset, startTime, endTime) req := e.client.AccountService.NewGetDepositHistoryRequest() if len(asset) > 0 { req.Currency(toLocalCurrency(asset)) } deposits, err := req. From(startTime.Unix()). To(endTime.Unix()). Limit(limit). Do(ctx) if err != nil { return nil, err } for i := len(deposits) - 1; i >= 0; i-- { d := deposits[i] if _, ok := txIDs[d.TxID]; ok { continue } allDeposits = append(allDeposits, types.Deposit{ Exchange: types.ExchangeMax, Time: types.Time(time.Unix(d.CreatedAt, 0)), Amount: util.MustParseFloat(d.Amount), Asset: toGlobalCurrency(d.Currency), Address: "", // not supported AddressTag: "", // not supported TransactionID: d.TxID, Status: toGlobalDepositStatus(d.State), }) } if len(deposits) < limit { startTime = endTime } else { startTime = time.Unix(deposits[0].CreatedAt, 0) } } return allDeposits, err } func (e *Exchange) QueryAccountBalances(ctx context.Context) (types.BalanceMap, error) { if err := accountQueryLimiter.Wait(ctx); err != nil { return nil, err } accounts, err := e.client.AccountService.Accounts() if err != nil { return nil, err } var balances = make(types.BalanceMap) for _, a := range accounts { balances[toGlobalCurrency(a.Currency)] = types.Balance{ Currency: toGlobalCurrency(a.Currency), Available: fixedpoint.Must(fixedpoint.NewFromString(a.Balance)), Locked: fixedpoint.Must(fixedpoint.NewFromString(a.Locked)), } } return balances, nil } func (e *Exchange) QueryTrades(ctx context.Context, symbol string, options *types.TradeQueryOptions) (trades []types.Trade, err error) { if err := tradeQueryLimiter.Wait(ctx); err != nil { return nil, err } req := e.client.TradeService.NewPrivateTradeRequest() req.Market(toLocalSymbol(symbol)) if options.Limit > 0 { req.Limit(options.Limit) } else { req.Limit(1000) } // MAX uses exclusive last trade ID // the timestamp parameter is used for reverse order, we can't use it. if options.LastTradeID > 0 { req.From(int64(options.LastTradeID)) } // make it compatible with binance, we need the last trade id for the next page. req.OrderBy("asc") remoteTrades, err := req.Do(ctx) if err != nil { return nil, err } for _, t := range remoteTrades { localTrade, err := toGlobalTrade(t) if err != nil { log.WithError(err).Errorf("can not convert trade: %+v", t) continue } trades = append(trades, *localTrade) } return trades, nil } func (e *Exchange) QueryRewards(ctx context.Context, startTime time.Time) ([]types.Reward, error) { var from = startTime var emptyTime = time.Time{} if from == emptyTime { from = time.Unix(maxapi.TimestampSince, 0) } var now = time.Now() for { if from.After(now) { return nil, nil } // scan by 30 days // an user might get most 14 commission records by currency per day // limit 1000 / 14 = 71 days to := from.Add(time.Hour * 24 * 30) req := e.client.RewardService.NewRewardsRequest() req.From(from.Unix()) req.To(to.Unix()) req.Limit(1000) maxRewards, err := req.Do(ctx) if err != nil { return nil, err } if len(maxRewards) == 0 { // next page from = to continue } rewards, err := toGlobalRewards(maxRewards) if err != nil { return nil, err } // sort them in the ascending order sort.Sort(types.RewardSliceByCreationTime(rewards)) return rewards, nil } return nil, errors.New("unknown error") } // QueryKLines returns the klines from the MAX exchange API. // The KLine API of the MAX exchange uses inclusive time range // // https://max-api.maicoin.com/api/v2/k?market=btctwd&limit=10&period=1×tamp=1620202440 // The above query will return a kline that starts with 1620202440 (unix timestamp) without endTime. // We need to calculate the endTime by ourself. func (e *Exchange) QueryKLines(ctx context.Context, symbol string, interval types.Interval, options types.KLineQueryOptions) ([]types.KLine, error) { if err := marketDataLimiter.Wait(ctx); err != nil { return nil, err } var limit = 5000 if options.Limit > 0 { // default limit == 500 limit = options.Limit } // workaround for the kline query, because MAX does not support query by end time // so we need to use the given end time and the limit number to calculate the start time if options.EndTime != nil && options.StartTime == nil { startTime := options.EndTime.Add(-time.Duration(limit) * interval.Duration()) options.StartTime = &startTime } if options.StartTime == nil { return nil, errors.New("start time can not be empty") } log.Infof("querying kline %s %s %+v", symbol, interval, options) localKLines, err := e.client.PublicService.KLines(toLocalSymbol(symbol), string(interval), *options.StartTime, limit) if err != nil { return nil, err } var kLines []types.KLine for _, k := range localKLines { if options.EndTime != nil && k.StartTime.After(*options.EndTime) { break } kLines = append(kLines, k.KLine()) } return kLines, nil } func (e *Exchange) QueryAveragePrice(ctx context.Context, symbol string) (float64, error) { ticker, err := e.client.PublicService.Ticker(toLocalSymbol(symbol)) if err != nil { return 0, err } return (util.MustParseFloat(ticker.Sell) + util.MustParseFloat(ticker.Buy)) / 2, nil }